Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3071 |
| Annualized Std Dev | 0.5989 |
| Annualized Sharpe (Rf=0%) | -0.5129 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3556.0000 |
| NAs | 1.0000 |
| Minimum | -0.2979 |
| Quartile 1 | -0.0142 |
| Median | -0.0015 |
| Arithmetic Mean | -0.0007 |
| Geometric Mean | -0.0015 |
| Quartile 3 | 0.0121 |
| Maximum | 0.2932 |
| SE Mean | 0.0006 |
| LCL Mean (0.95) | -0.0020 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0014 |
| Stdev | 0.0377 |
| Skewness | -0.1780 |
| Kurtosis | 12.6992 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0268 |
| Gain Deviation | 0.0305 |
| Loss Deviation | 0.0300 |
| Downside Deviation (MAR=210%) | 0.0311 |
| Downside Deviation (Rf=0%) | 0.0271 |
| Downside Deviation (0%) | 0.0271 |
| Maximum Drawdown | 0.9986 |
| Historical VaR (95%) | -0.0484 |
| Historical ES (95%) | -0.0933 |
| Modified VaR (95%) | -0.0550 |
| Modified ES (95%) | -0.0683 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-12 | NA | -0.9986 | 3102 | 3096 | NA |
| 2008-07-16 | 2008-09-26 | 2008-11-19 | -0.5276 | 90 | 52 | 38 |
| 2008-03-11 | 2008-05-02 | 2008-06-23 | -0.3380 | 73 | 38 | 35 |
| 2008-01-22 | 2008-02-01 | 2008-03-06 | -0.2873 | 32 | 9 | 23 |
| 2007-11-27 | 2007-12-10 | 2008-01-04 | -0.2248 | 27 | 10 | 17 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | 0.3 | 0.2 | 0 | -0.3 | 1.6 | -0.7 | -3 | -4 | 8.1 | -5.9 | -1.6 | -5.9 |
| 2008 | -5 | 7.7 | -14.5 | -7.7 | 1.5 | -1.7 | -0.7 | -0.1 | -4.4 | -9.4 | 29.3 | -7.3 | -17 |
| 2009 | 4.8 | 10.7 | -4.1 | 2.5 | -3.1 | 0.3 | -1.4 | 9.4 | 7.6 | 8.3 | -0.7 | 1 | 39.5 |
| 2010 | -2.7 | -0.6 | -1.6 | 4.7 | 4.3 | 1.2 | 0.1 | -7.5 | -1.5 | -0.1 | -3.9 | -0.3 | -8.2 |
| 2011 | -3.8 | 4.3 | -1.5 | 0.4 | 6.5 | -3.8 | 0.9 | 4.2 | 6.6 | 8.7 | 1.2 | 1.3 | 26.9 |
| 2012 | -3.3 | -2.3 | -0.8 | -2 | 7.1 | -5 | 1.1 | -1.1 | -0.8 | -2.5 | 0.4 | -2.7 | -11.8 |
| 2013 | -2.6 | -0.6 | 0.8 | 1.9 | 3 | -1 | -3.1 | 1.2 | -1.8 | -0.6 | 0.5 | -0.7 | -3.1 |
| 2014 | 2.3 | -1.2 | -1 | -0.5 | -0.4 | -1.4 | 1.4 | -0.8 | 2.1 | -2.3 | 1.4 | 2.3 | 1.7 |
| 2015 | 2.7 | 0.7 | 0.5 | -1.4 | -0.4 | -2.7 | 0.8 | 6.3 | -0.5 | 2.5 | -2 | 1.7 | 8.2 |
| 2016 | 0.6 | -6.7 | -1.5 | 1.3 | -0.3 | 0.5 | 0.5 | 0.8 | -1.8 | 1.8 | -1.4 | -0.7 | -7 |
| 2017 | 0.4 | -4 | 0.9 | -0.9 | -2.1 | -0.1 | -1.5 | -0.9 | -0.6 | -0.3 | -0.4 | 0.7 | -8.6 |
| 2018 | -1.1 | 4.5 | -2.4 | 0.3 | -1.7 | 0.1 | -0.3 | 0.1 | 0.2 | -1.1 | -1.6 | -1.2 | -4.5 |
| 2019 | -1.2 | -0.7 | -3.6 | 1.4 | 1.8 | -1.6 | 2.9 | -0.5 | 3.5 | -2.1 | 0.5 | -0.7 | -0.5 |
| 2020 | 3.9 | 4.6 | 11.8 | 6.2 | -2.4 | 0.2 | 0.4 | -0.4 | -1.9 | 0.3 | -2.7 | -2.3 | 18 |
| 2021 | -3.3 | -4.7 | 3.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -4.9 |
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Price Chart
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Rolling Performance Chart
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Snail Trail Chart
